Cover Image

Fluctuation Analysis for the Loss From Default

We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the loss distribution. Numerical results illustrate the accuracy and computational efficiency of the approximation.
Year of publication:
2013-04
Authors: Spiliopoulos, Konstantinos ; Sirignano, Justin A. ; Giesecke, Kay
Institutions: arXiv.org
freely available
Full text |
Check Google Scholar
In German libraries (KVK)
I need help
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in Stochastic Processes and their Applications, Volume 124, Issue 7, 2014, pp. 2322-2362
Source:
Persistent link: https://www.econbiz.de/10011183057
Similar items by person